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Optimization of trading physics models of markets

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2 Author(s)
Ingber, Lester ; Lester Ingber Res., Chicago, IL, USA ; Mondescu, R.P.

We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and canonical momenta indicators are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using adaptive simulated annealing is used for fitting parameters shared across these shells of dynamics and trading models

Published in:

Neural Networks, IEEE Transactions on  (Volume:12 ,  Issue: 4 )

Date of Publication:

Jul 2001

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